Pricing Export Credit: A Concise Framework with Examples and Implementation Code in R

di Claudio Franzetti (Autore)

Springer Nature Switzerland AG, 2022

Pricing of export credit is a challenge in the globalised world trade. Annual premia represent billions of euros or dollars and may determine competition. This book develops a rigorous new framework for pricing export credit products, e.g. buyer and supplier credit insurance and performance and working capital guarantees , based on well-known financial and actuarial theories. It introduces the products, the theories and the different data sources in order to apply the mathematical and financial ideas, e.g. discounting, risk-neutral valuation and Merton type defaults. It shows the differences of historical experience and implicit market pricing assumptions. The well-known OECD Arrangement is used as a benchmark for some part of the framework. Short code snippets in R are given in order to re-perform the results and have a basis to try own ideas. Many unprecedented exhibits give new insights into the subject matter. The book is targeted at practitioners and actuaries in the field with agood quantitative background.

• Autore: Claudio Franzetti
• Editore: Springer Nature Switzerland AG
• Collana: Management for Professionals
• Anno: 2022
• Rilegatura: Paperback / softback
• Pagine: 246 p.
• Dimensioni: 235 x 155 mm
• EAN: 9783030702878

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